The calculation of expectations for classes of diffusion processes by lie symmetry methods

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dc.contributor.author Craddock, M
dc.contributor.author Lennox, KA
dc.date.accessioned 2010-05-28T09:42:19Z
dc.date.issued 2009-02
dc.identifier.citation Annals of Applied Probability, 2009, 19 (1), pp. 127 - 157
dc.identifier.issn 1050-5164
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/8295
dc.description.abstract This paper uses Lie symmetry methods to calculate certain expectations for a large class of Itô diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form Ex(e-λxt-∫t0 g(Xs)ds) can be reduced to evaluating a single integral of known functions. Given a drift f we determine the functions g for which the corresponding functional can be calculated by symmetry. Conversely, given g, we can determine precisely those drifts f for which the transition density and the functional may be computed by symmetry. Many examples are presented to illustrate the method. © Institute of Mathematical Statistics, 2009.
dc.language eng
dc.relation.isbasedon 10.1214/08-AAP534
dc.title The calculation of expectations for classes of diffusion processes by lie symmetry methods
dc.type Journal Article
dc.parent Annals of Applied Probability
dc.journal.volume 1
dc.journal.volume 19
dc.journal.number 1 en_US
dc.publocation Cleveland en_US
dc.identifier.startpage 127 en_US
dc.identifier.endpage 157 en_US
dc.cauo.name FEIT.School of Systems, Management and Leadership en_US
dc.conference Verified OK en_US
dc.for 010404 Probability Theory
dc.personcode 980626
dc.personcode 044231
dc.percentage 100 en_US
dc.classification.name Probability Theory en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity ISI:000264247900006 en_US
dc.description.keywords Diffusion processes
dc.description.keywords Expectations and functionals
dc.description.keywords Fundamental solutions
dc.description.keywords Lie symmetry groups
dc.description.keywords Transition densities
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history General (ID: 2)


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